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Transfert du risque crédit : de l’ingéniosité bancaire à l’instabilité financière

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  • Catherine Lubochinsky

Abstract

[fre] La gestion du risque de défaut autre que par le principe de mutualisation dans les bilans ne constitue pas une innovation financière récente : la titrisation des prêts hypothécaires américains date de 1970 avec l’émission, par la Government National Mortgage Association (GNMA), des premiers mortgage-backed securities (MBS) ; l’apparition d’un marché secondaire des prêts bancaires, peu après la crise d’endettement des pays d’Amérique latine (1982), fut l’une des techniques utilisées par les banques commerciales pour redistribuer entre elles le risque crédit sur ces pays ; puis l’apparition des Brady bonds en 1989 ne fut que la titrisation de ces prêts sous forme d’obligations. L’innovation récente ne concerne donc pas la gestion du risque de crédit par transfert de l’actif sous-jacent mais son transfert synthétique par les dérivés de crédit. Ce sont ces derniers qui ont permis un recours massif au transfert de ce risque.

Suggested Citation

  • Catherine Lubochinsky, 2008. "Transfert du risque crédit : de l’ingéniosité bancaire à l’instabilité financière," Revue d'Économie Financière, Programme National Persée, vol. 7(1), pages 101-105.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2008_hos_7_1_5192
    DOI: 10.3406/ecofi.2008.5192
    Note: DOI:10.3406/ecofi.2008.5192
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    1. Alan Greenspan, 2005. "Risk transfer and financial stability," Proceedings 968, Federal Reserve Bank of Chicago.
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    1. Gilles, Philippe & Huchet, Nicolas & Gauvin, Marie-Sophie, 2012. "Politique monétaire, choix de portefeuille du secteur bancaire et canal de la prise de risque," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(2), pages 175-196, Juin.

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